Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0106
Annualized Std Dev 0.2186
Annualized Sharpe (Rf=0%) -0.0483

Row

Daily Return Statistics

Close
Observations 4126.0000
NAs 1.0000
Minimum -0.1440
Quartile 1 -0.0048
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0056
Maximum 0.1899
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0138
Skewness 0.0514
Kurtosis 23.8165

Downside Risk

Close
Semi Deviation 0.0100
Gain Deviation 0.0105
Loss Deviation 0.0117
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.6173
Historical VaR (95%) -0.0185
Historical ES (95%) -0.0343
Modified VaR (95%) -0.0158
Modified ES (95%) -0.0158
From Trough To Depth Length To Trough Recovery
2007-04-19 2009-03-09 NA -0.6173 3506 476 NA
2005-08-19 2005-12-27 2006-12-13 -0.1462 333 90 243
2006-12-27 2007-03-05 2007-04-18 -0.0664 76 45 31
2005-03-07 2005-04-25 2005-07-13 -0.0515 90 35 55
2005-02-16 2005-02-22 2005-03-02 -0.0266 10 4 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA NA 0.2 0.4 -1 -0.4
2005 0.1 0.5 0.1 0 -0.1 0.2 0.4 -0.5 0.7 -1.3 0.5 1.1 1.7
2006 -1 0.5 0.5 0.1 2 -0.1 -0.4 -0.4 0.4 -0.4 -0.8 -0.6 -0.3
2007 -0.4 -0.1 0 0.3 0.9 0.1 -0.3 1.7 0.8 -1.7 1.1 0.3 2.8
2008 1.6 -1.2 2 1.3 1.3 -2 0.8 -0.3 1.9 1.7 -8.7 1.5 -0.7
2009 -3.2 -4.7 2 0.2 2.2 -0.2 2.6 -1.4 -1.1 -2.5 0.5 0.2 -5.4
2010 2 1.1 1.1 -1.3 -1.5 -1 1.2 1.1 -0.2 -0.2 1.3 0.2 3.7
2011 0.8 -0.7 -0.2 0.5 -0.9 0.7 0.4 -0.9 -1.9 -2.5 0.6 1.1 -3.2
2012 0.8 0.5 0.1 0.5 -2.1 1.8 0.1 0.8 0.5 0.6 0 1.6 5.3
2013 0.7 0.3 -0.2 -0.7 -1.1 0.6 0.8 -0.1 1.3 0.1 0.1 -0.2 1.7
2014 -0.3 0.5 0.5 -0.1 0.3 0.6 -0.5 0.1 -0.8 1.2 -1 -0.1 0.4
2015 -0.9 -0.1 -0.5 0.7 0 0.8 0.2 -3 -0.1 -0.4 0.7 -0.7 -3.3
2016 1.1 1.8 1.9 -1.6 0.8 1.1 0.3 0 0.5 -0.8 -0.7 -0.3 4.1
2017 -0.1 1.3 -0.1 0.6 0.4 0.4 0.4 0.4 1.4 -0.1 -0.2 -1.2 3.3
2018 0.1 -1.6 1.2 -0.1 0.9 0.3 0.8 -0.4 0 1.4 1.9 1.4 5.9
2019 -0.1 1.2 1.7 0.1 -1.3 0.7 -0.7 -0.1 -0.7 0.4 0.1 0.8 2
2020 -1 -4.1 -5.9 -1.8 0.9 0.8 0.7 0.5 0.4 -1.4 0.6 0.7 -9.4
2021 1.5 2.2 0.1 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart